Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 12 (1D) | Nov 13 (2D) | Nov 14 (3D) | Nov 17 (6D) | Nov 18 (7D) | Nov 19 (8D) | Nov 20 (9D) | Nov 21 (10D) | Nov 24 (13D) | Nov 25 (14D) | Nov 28 (17D) | Dec 05 (24D) | Dec 12 (31D) | Dec 19 (38D) | Dec 26 (45D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 674.385 | 671.782 | 669.784 | 665.276 | 664.042 | 662.894 | 661.816 | 660.796 | 658.01 | 657.155 | 654.757 | 649.881 | 645.678 | 641.928 | 638.511 |
| upper | 686.955 | 689.558 | 691.556 | 696.064 | 697.298 | 698.446 | 699.524 | 700.544 | 703.33 | 704.185 | 706.583 | 711.459 | 715.662 | 719.412 | 722.829 |
| expected move | 6.285 | 8.888 | 10.886 | 15.394 | 16.628 | 17.776 | 18.854 | 19.874 | 22.66 | 23.515 | 25.913 | 30.789 | 34.992 | 38.742 | 42.159 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
